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A new index of housing sentiment

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A new index of housing sentiment. / Bork, Lasse; Møller, Stig Vinther; Pedersen, Thomas Quistgaard.

I: Management Science, Bind 66, Nr. 4, 04.2020, s. 1563-1583.

Publikation: Bidrag til tidsskrift/Konferencebidrag i tidsskrift /Bidrag til avisTidsskriftartikelForskningpeer review

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Bork, L, Møller, SV & Pedersen, TQ 2020, 'A new index of housing sentiment', Management Science, bind 66, nr. 4, s. 1563-1583. https://doi.org/10.1287/mnsc.2018.3258

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Author

Bork, Lasse ; Møller, Stig Vinther ; Pedersen, Thomas Quistgaard. / A new index of housing sentiment. I: Management Science. 2020 ; Bind 66, Nr. 4. s. 1563-1583.

Bibtex

@article{fe70ec87b1c345d69c92d5a64945370c,
title = "A new index of housing sentiment",
abstract = "We propose a new measure for housing sentiment and show that it accurately tracks expectations of future house price growth rates. We construct the housing sentiment index using partial least squares on household survey responses to questions about buying conditions for houses. We find that housing sentiment explains a large share of the time variation in house prices during both boom and bust cycles, and it strongly outperforms several macroeconomic variables typically used to forecast house prices. History: Accepted by Tyler Shumway, finance. Funding: Financial support was received from the Danish Council of Independent Research [Grant DFF 4003-00022] and CREATES, Center for Research in Econometric Analysis of Time Series [Grant DNRF78], funded by the Danish National Research Foundation.",
author = "Lasse Bork and M{\o}ller, {Stig Vinther} and Pedersen, {Thomas Quistgaard}",
year = "2020",
month = apr,
doi = "10.1287/mnsc.2018.3258",
language = "English",
volume = "66",
pages = "1563--1583",
journal = "Management Science",
issn = "0025-1909",
publisher = "Institute for Operations Research and the Management Sciences (I N F O R M S)",
number = "4",

}

RIS

TY - JOUR

T1 - A new index of housing sentiment

AU - Bork, Lasse

AU - Møller, Stig Vinther

AU - Pedersen, Thomas Quistgaard

PY - 2020/4

Y1 - 2020/4

N2 - We propose a new measure for housing sentiment and show that it accurately tracks expectations of future house price growth rates. We construct the housing sentiment index using partial least squares on household survey responses to questions about buying conditions for houses. We find that housing sentiment explains a large share of the time variation in house prices during both boom and bust cycles, and it strongly outperforms several macroeconomic variables typically used to forecast house prices. History: Accepted by Tyler Shumway, finance. Funding: Financial support was received from the Danish Council of Independent Research [Grant DFF 4003-00022] and CREATES, Center for Research in Econometric Analysis of Time Series [Grant DNRF78], funded by the Danish National Research Foundation.

AB - We propose a new measure for housing sentiment and show that it accurately tracks expectations of future house price growth rates. We construct the housing sentiment index using partial least squares on household survey responses to questions about buying conditions for houses. We find that housing sentiment explains a large share of the time variation in house prices during both boom and bust cycles, and it strongly outperforms several macroeconomic variables typically used to forecast house prices. History: Accepted by Tyler Shumway, finance. Funding: Financial support was received from the Danish Council of Independent Research [Grant DFF 4003-00022] and CREATES, Center for Research in Econometric Analysis of Time Series [Grant DNRF78], funded by the Danish National Research Foundation.

U2 - 10.1287/mnsc.2018.3258

DO - 10.1287/mnsc.2018.3258

M3 - Journal article

VL - 66

SP - 1563

EP - 1583

JO - Management Science

JF - Management Science

SN - 0025-1909

IS - 4

ER -